Is it a background image? Right click on the desktop and click on personalize. If it's a background image you can change it to something else. I use a slideshow of a few of my family pictures.
As @glasskuter says, it is the “Your phone”, “Phone Link”, whatever they call it now. This is not an image embedded into your (image) file for your desktop, rather appearing as a program above your desktop. In your taskbar, you should see the icon for this program. You can also go to settings -> privacy -> background apps , and disable phone link (or try enabling if already disabled).
Also please follow the piece of advice from glasskuter,